Estimation of time-varying adjusted probability of informed trading and probability of symmetric order-flow shock

• المؤلفون الرئيسيون: PREVE, Daniel, TSE, Yiu Kuen
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: autoregressive conditional duration; market microstructure; probability of informed trading; probability of symmetric order-flow shock; transaction data; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1398; https://ink.library.smu.edu.sg/context/soe_research/article/2397/viewcontent/PR_JAE_R3.pdf
• المؤسسة: Singapore Management University

Recently Duarte and Young (2009) study the probability of informed trading (PIN) proposed by Easley et al. (2002) and decompose it into two parts: the adjusted PIN (APIN) as a measure of asymmetric information and the probability of symmetric order-flow shock (PSOS) as a measure of illiquidity. They...